Setting up your application to use a postgres-database and using pgadmin is the most common way to do that. But if you are looking for a way to edit the database that is by default added to your locally running application, then in Mendix Studio Pro go to your Console view (menu View → Console) and open the HSQLDB-manager by clicking Advanced → Start built-in database viewer. It is a simple database manager but probably has all functions you need.
The preferable tool would typically depend on the database type you're using in your production environment ie. PostgressSQL MSSQL MySQL etc.
When you're using the Mendix cloud and want just default supported functionalities (which is my advice if you don't have arguments to do otherwise) you shoulld use PostgresSQL databases. Locally you can use the tool PGAdmin. Mendix has a nice guide to set it up: https://docs.mendix.com/developerportal/operate/restore-backup-locally (you can also just skip the “restore” part, and start with a clean database.
Within PG admin you can use the query tool: https://www.pgadmin.org/docs/pgadmin4/development/query_tool.html to perform your SQL statements.